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Portman Building Society Selects SunGard's Basel II Capital Manager for Basel II Regulatory Compliance and Credit Risk Management

NEW YORK, September 1, 2004– SunGard Trading and Risk Systems, an operating group of SunGard (NYSE:SDS), today announced that UK-based Portman Building Society has chosen SunGard’s Basel II Capital Manager to help it to comply with the new Basel II regulations and to achieve best practice retail credit risk management.

Portman has chosen Basel II’s Advanced Internal-Ratings Based (IRB) Approach for credit risk. SunGard’s Basel II Capital Manager will provide Portman with the ability to fully comply with this approach in a flexible, transparent and auditable way.

Using SunGard’s Basel II Capital Manager, Portman will also be able to run Basel I and II calculations in parallel, for comparison and consistency checking purposes required under Pillar 1 of the Basel Accord. As per Pillar 2, SunGard’s Basel II Capital Manager will provide Portman with the stress testing analysis and validation reports required in order to support the supervisory model approval process that is a part of the Advanced IRB Approach. The SunGard solution also supports the advanced economic capital allocation process that uses risk-adjusted performance measurement, another requirement of Pillar 2. As per the third and final Pillar of the Accord, Basel II Capital Manager provides reporting featuring a comprehensive range of information on capital and risk numbers as well as risk management practices.

Portman will also use SunGard’s Basel II Capital Manager as its basis for developing new internal credit risk processes. This involves the segmentation of retail clusters as well as the generation of PD's (probability of default), LGD's (loss given default) and EAD's (exposure at default) for the relevant cluster and positions. Under the Advanced IRB Approach, Portman will use its own proprietary method to derive these key input parameters for the regulatory and economic capital calculations. It will implement core models from SunGard’s Basel II Capital Manager and customize them extensively according to its unique business structure.

Mike Clark, Basel II program manager at Portman, said, "We selected SunGard’s Basel II Capital Manager because it is able to provide a transparent, auditable and flexible solution environment to help us to comply with the three pillars of Basel II under our chosen Advanced IRB Approach. Unlike our previous spreadsheet environment, SunGard’s Basel II Capital Manager will enable us to drill-down behind any number in a report to the see components of that calculation, and from these components, down to the source data behind them. This will help us to improve our efficiency, accuracy and automation. Also, because of the ability to add our own capital calculation models to the framework, SunGard’s Basel II Capital Manager provides a risk infrastructure that will help us to develop and grow as our requirements change over time."

Dean Jovic, group managing director for risk management/Basel II at SunGard Trading and Risk Systems, said, "Regulators will expect banks to use proven technology in order to provide transparent and reliable capital calculations using validated and complete data. Spreadsheets simply are not up to this job." Dr. Jovic contended that while all banks realize that stand-alone spreadsheets were never really a long-term solution because of issues of data integrity and granularity, aggregation and security, it is now, due to regulatory demand for Basel II compliance, that banks must replace spreadsheet-based capital calculation environments.